A robust approach for principal component analyisis
Statistics Theory
2019-03-04 v1 Statistics Theory
Abstract
In this paper we analyze different ways of performing principal component analysis throughout three different approaches: robust covariance and correlation matrix estimation, projection pursuit approach and non-parametric maximum entropy algorithm. The objective of these approaches is the correction of the well known sensitivity to outliers of the classical method for principal component analysis. Due to their robustness, they perform very well in contaminated data, while the classical approach fails to preserve the characteristics of the core information.
Keywords
Cite
@article{arxiv.1903.00093,
title = {A robust approach for principal component analyisis},
author = {María Camila Vásquez-Correa and Henry Laniado Rodas},
journal= {arXiv preprint arXiv:1903.00093},
year = {2019}
}